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河南科技大学硕士学位论文创业投资的资本资产定价研究姓名：潘立申请学位级别：硕士专业：企业管理指导教师：席升阳20080101INIISubject:ResearchonCapitalAssetPricingofVentureCapitalSpecialty:EnterpriseManagementName:PanLiSupervisor:ProfessorXiShengyangABSTRACTIntheworldofnewtechnologyrevolution,theknowledgeisplayinganincreasinglyprominentroleinthepromotionofeconomicandsocialprogress.Thegrowthofnationalwealthandtheimprovementofhumanlifeincreasinglydependontheaccumulationofknowledgeandinnovation.Internationalcompetitioninscienceandtechnologybecomethefocusofcompetitionincomprehensivenationalstrength.Incontemporarytimes,thewho'sknowledgeandscienceandtechnologyinnovationdominatedwillbeabletoseizetheinitiativeindevelopment.Foralongtime,China'seconomicgrowthhasbeenheavilyrelyingontheinputofresource;technologicalchangeontherelativecontributionoftheeconomicgrowthratewasfarlowerthantheaveragelevelofdevelopedcountries.Arrangedasonenewmonetarysystem,venturecapitalplaysaveryimportantroleinpromotingtechnologicalchangeanditisknownas“theengineofeconomicgrowth”.Therefore,deepeningthestudyofventurecapitalhelpstoenhanceChina'sscientificandtechnologicalinnovationcapability,andpromotethebuildingprocessofChina's“innovation-orientedcountry”strategy.Thisarticlefocusesontwoaspects.First,basedonChina'snationalconditions,thisarticlediscussesthepossiblespaceoftheinnovationoftheventurecapital’stheoreticalsystem.Secondly,basedonthedevelopmentoftheventurecapital’stheorysystem,thisarticleutilizesthenewtechnicaltodiscussthenewmethodofthecapitalassetpricingoftheventurecapital.BasedonanalysisofthekeyprobleminChina'sventurecapitalinthecurrent,thisthesisdevelopsthetheorysystemoftheventurecapitalwhichissuitableforChina'snationalconditions.Thenthisthesisanalyzesthecharacteristicsofventurecapitalandtheoperationalmechanismofventurecapital,andprovidestheexamplesoftheexpansiontheory.Thisthesisismadeupof5chaptersaltogether.Firstofall,the1stchapterintroducestheresearchbackground,researchvalue,literaturereviewandtheinnovation.IIISecondly,undertheframeworkofthenewdefinitionofventurecapital,twokindsofventurecapitalassetpricingmethodswhichcomplementingeachotheraregiven.First,themethodofrealoptionsisusedtostudyventurecapitalassetpricingmodelofasingleperiod,andextendedtothegeneralmodelofventurecapitaldecision-makingoftheNperiods.Thesecondmethodappliestheprojectionpursuitclustermodelbasedonthereal-coding-basedacceleratinggeneticalgorithmstothecapitalassetpricingoftheventurecapital.Finally,wesumuptheconclusionsandtheinsufficientofthisstudy,anddiscusstheviableresearchdirectionsoftheventurecapitalinthefuture.KEYWORDS:Venturecapital,Capitalassetpricing,Realoptions,ProjectionpursuitclusterDissertationType:AppliedResearch1111.126[1]15%29%60%5%10%45%GDP20%60%[2,3]219121946GeorgesDoriotKartCanpton1.270%1366%74%82%[4]1.31.3.112005[5]2004[6]2004[7]2006[8]22003[9]2003DCF4PRR[10]2003Black-Scholes[11]2004[12];2005NPV[13]2006DCFRealOptionAnalysisROAROA[14]1.3.21WrightRobbie1998VC[15]KortumLerner200020R&D[16]GaryDushnitskyMichaelJ.Lenox2006CorporateVentureCapitalCVC[17]CVCCVCCVCCVC15CVCNikolausFrankeMarcGruberDietmarHarhoffJoachimHenkel2006VC51[18]DirkEngelMaxKeilbach2006VC[19]RinNicodanoSembenelli20061988200114[20]Grimpe2006[21]AvnimelechaTeubalb200635[22]2TyebjeeBruno1984[23]5Manigart1997ManigartROA[24]Hand2005IPO6[25]1.3.31.417RAGA-PPCRAGAPPCAHPAHPPPCRAGAPPCN1.51-1RAGAPPC81-1Fig.1-1ThelogicalframeworkofthispaperRAGA-PPCMN292149220401946GeorgesDoriotKartCanpton2.12.1.1[26]221070%[27]2.1.2[28]2-1[29]2-1Tab.2-1Thethreemainmodeofventurecapital+++200553%33%21186%[30]2.4%[31]2.1.32007M2403401M1152519M03033416.7%21.02%12.05%17574938937126169167.21%[32]319631.6332[33]2.1.412[34]2.1.51[35]213199810[36]22005100015640[37]2008386268920042007206[38,39][40]2.22.2.114AmericanVentureCapitalAssociationAVCA[41]EuropeanVentureCapitalAssociationEVCA[42]OrganizationforEconomicCo-operationandDevelopmentOECD[43][44][45]AVCVOECDAVCV[46]215[47][47][48]2.2.2[49]2006[50]16NABXA138B5225%(1))(5.34%0)52(%25138=×−+×=(2))(5.21%25)52138(=×−=132.2.31217[51]2[52]StrategicBusinessUnitSBU318[53][54][55]2.2.4219entrepreneurENVentureCapitalistsVCBootstrapInvestment2.32.3.1202.3.214.246.43%[56]35%[57]2003StevenKaplanVentureEconomicsGlobalVentureInvestorsAssociation1981200118.6%2-2[58]2-219812001Tab.2-2TheaveragerateofreturnonvarioustypesofassetsoftheUnitedStatesduring1981-200116.5%8.9%9.6%9.8%10.7%12.6%15.3%18.6%11981-20013.4%GlobalVentureInvestorsAssociation(2003)2.3.33075[59]2212.3.4[60]2.3.52-32-3Tab.2-3Venturecapitalandtraditionalmethodsofinvestmentcomparison2-4[61]222-4Tab.2-4Venturecapitalandfinancialcreditcomparison2.4IPO2.4.12.4.22-112322345IPO2-1Fig.2-1Operatingmechanismofventurecapital2.4.32.5ABABIPO242.5.1StopfordBadenFuller1994AntoncicHisrich20011Burgelman1983[62]Pinehott1985[63]BurgelmanStevensonJarillo1990[64]22-52-5225Tab.2-5ThecharacteristicscomparisonoftheintrapreneurshipandtheVC263[65]2.5.212272[66]3[67][68]282006R&DR&D5[69]2.63293NPV3.1NetPresentValueNPVNPVNPVNPVNPV3.1.1NPVDiscountedCashFlowDCFDCFNPV1(1)niniiCFNPVr==+∑(3-1)NPViCFiirn(1)0NPV30(2)0NPV